One of the members of WaltherForums has pics of different sub-caliber adapter cartridges, this one looks like the Lothar Walther adapter for the .22LR...
Simple enough looking. Just a hollow shell with a center rod with an off-center pin sticking through the front. The shell plus the barrel insert flange equal the 9mm case length. The breechblock would hold it in place. I would guess that the pin is pressed into the rod (or maybe machined as part of the center section?).
I have to wonder what the center section is made of. It can't do the Luger firing pin any good to hit anything hard, even if it does move...
Edit: Looking closer, it looks like the center section has something in the middle of it, where the Luger firing pin strikes...The cross-section shows something that looks to be shaped like a primer...A softer metal? Brass or copper maybe???